Some results on measures of interaction between paired risks

Rui Fang, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.

Original languageEnglish
Article number88
JournalRisks
Volume6
Issue number3
DOIs
StatePublished - Sep 2018

Keywords

  • Arrangement increasing
  • Co-risk measure
  • Copula
  • Risk contribution measure
  • Stochastic orders

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